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题名: Measuring and Testing the Long-Term Impact of Terrorist Attacks on the US Futures Market
作者: Chou;Heng-Chih;David Wang;Rim Zaabar
贡献者: 國立台灣海洋大學:航運管理學系
关键词: terrorist attack, maturity effect, volume effect, open interest effect, range-based volatility model, C10, C50
日期: 2013
上传时间: 2016-03-23T02:21:25Z
摘要: This article investigates the long-term impact of the 11 September 2001 terrorist attacks on the maturity, volume and open interest effects for the S&P 500 index futures contracts. Adopting Chou (2005a, b)'s range-based volatility models, this article provides a number of interesting results. For the maturity effect, we find evidence for a very weak presence in the pre 9/11 period and no presence in the post 9/11 period, indicating that the maturity effect vanishes completely following the event of 9/11. Despite a strong presence of the volume effect in both periods, we detect a relative decrease in the presence during the post 9/11 period. The open interest effect shows a very weak presence during the pre 9/11 period and a strong presence during the post 9/11 period, indicating a stronger open interest effect following the event of 9/11. Furthermore, we show that there is a bi-directional causality relationship between futures volatility and trading volume during the pre 9/11 period, and that the causality relationship between the two variables becomes unidirectional during the post 9/11 period.
關聯: 45(2)
URI: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/37574
显示于类别:[航運管理學系] 期刊論文

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